Let them threaten. If they decide to follow through on their threat they’re gonna have to show up with some financial statements covering the timeframe where the charge was allegedly not reversed. You’ll show up with your financial statements showing the reversed charge.

You’ll either discover Visa pocketed the money (not possible) or one of you is not reading your financial statements correctly.

My money is on the customer not parsing their credit card statements correctly. Unfortunately you can’t sit down with them and help them read it so the best you can do is invite them to sue so that, in the process of preparing to sue you, they will realize their mistake.